Question: Please do not do this question wrong, i don't want wrong answers. Please do not do it if you are not familiar with it b)

Please do not do this question wrong, i don't want wrong

Please do not do this question wrong, i don't want wrong answers. Please do not do it if you are not familiar with it

b) The following shows a historical return series of Stock C. Day Daily Return of Stock C 1 12.0% 2 12.0% 3 -8.0% 4 -2.0% 5 2.0% 6 4.0% 7 -2.0% 8 5.0% 9 9.0% 10 28.0% Day 11 12 13 14 15 16 17 18 19 20 Daily Return of Stock C 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% i) What is the procedure to find 90% daily Value-at-Risk (VaR) of stock C using historical simulation? What is the 90% daily Value-at-Risk (VaR) of an $1million investment in stock C? (4) ii) What is the 90% daily Expected Shortfall of an $1million investment in stock C? What are the advantages of Expected Shortfall over Value-at-Risk? [5] b) The following shows a historical return series of Stock C. Day Daily Return of Stock C 1 12.0% 2 12.0% 3 -8.0% 4 -2.0% 5 2.0% 6 4.0% 7 -2.0% 8 5.0% 9 9.0% 10 28.0% Day 11 12 13 14 15 16 17 18 19 20 Daily Return of Stock C 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% i) What is the procedure to find 90% daily Value-at-Risk (VaR) of stock C using historical simulation? What is the 90% daily Value-at-Risk (VaR) of an $1million investment in stock C? (4) ii) What is the 90% daily Expected Shortfall of an $1million investment in stock C? What are the advantages of Expected Shortfall over Value-at-Risk? [5]

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